Worst-case scenario portfolio optimization: a new stochastic control approach (Q814888)
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scientific article; zbMATH DE number 5004478
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Worst-case scenario portfolio optimization: a new stochastic control approach |
scientific article; zbMATH DE number 5004478 |
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Worst-case scenario portfolio optimization: a new stochastic control approach (English)
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8 February 2006
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optimal portfolios
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crash modelling
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Bellman principle
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equilibrium strategies
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worst-case scenario
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changing market coefficients
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